Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0079
Annualized Std Dev 0.0252
Annualized Sharpe (Rf=0%) 0.3121

Row

Daily Return Statistics

Close
Observations 2913.0000
NAs 1.0000
Minimum -0.0187
Quartile 1 -0.0007
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0008
Maximum 0.0179
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0016
Skewness -0.2648
Kurtosis 21.1003

Downside Risk

Close
Semi Deviation 0.0011
Gain Deviation 0.0011
Loss Deviation 0.0013
Downside Deviation (MAR=210%) 0.0084
Downside Deviation (Rf=0%) 0.0011
Downside Deviation (0%) 0.0011
Maximum Drawdown 0.0889
Historical VaR (95%) -0.0022
Historical ES (95%) -0.0037
Modified VaR (95%) -0.0020
Modified ES (95%) -0.0020
From Trough To Depth Length To Trough Recovery
2012-09-17 2020-03-18 2021-01-15 -0.0889 2097 1887 210
2011-04-29 2011-10-10 2012-02-27 -0.0232 209 114 95
2010-10-15 2010-12-10 2011-02-22 -0.0201 89 40 49
2012-03-13 2012-06-29 2012-09-13 -0.0170 129 77 52
2010-05-07 2010-06-02 2010-08-10 -0.0140 66 18 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA 0.2 0.2 0 0 0 0.4
2010 0.1 0 0 0.1 -0.1 -0.3 0.2 -0.1 0 0.1 -0.3 0.2 -0.1
2011 -0.1 0.2 0.1 -0.4 0.2 0.1 0.3 0.4 -0.2 0.2 0.1 0.1 0.9
2012 0.1 -0.1 -0.1 0 -0.2 -0.2 0 0.3 0.1 0.1 0 -0.1 -0.2
2013 0.1 0 0 -0.2 0.1 0.3 -0.1 -0.2 -0.1 -0.3 -0.2 0 -0.5
2014 0.1 0 -0.1 0 -0.3 0 0.2 -0.1 0.3 0 0 0.2 0.2
2015 0.3 0.3 0.3 -0.2 -0.2 -0.2 -0.1 0 0.1 0 0.2 0.4 1
2016 -0.2 -0.1 0 -0.1 -0.1 0.1 -0.6 -0.3 0 0 -0.1 0.2 -1.3
2017 0 -0.2 0.1 -0.2 -0.1 -0.1 0 -0.1 -0.2 -0.1 -0.3 0.1 -1
2018 -0.2 0.3 0.1 -0.4 -0.3 0.1 -0.4 0.1 0 -0.2 -0.1 0.1 -1
2019 -0.1 -0.2 0 -0.1 0.3 -0.4 0 -0.1 -0.2 0 -0.1 -0.1 -1
2020 0.2 0.1 -0.1 -0.4 0 0 0.1 -0.5 -0.4 0 -0.1 0.1 -1.1
2021 -0.1 0.2 0 NA NA NA NA NA NA NA NA NA 0.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart